Counterparty Risk - xVA Models Quant Company Profile: Solytics Partners provide products and services to BFSI and Healthcare firms. We use AI/ML & cutting-edge technology to develop next generation solutions or provide efficient services. We have strong team of PHD's in AI/ML and experts in BFSI, and healthcare industry. Our regulatory compliant solutions and services enable leading financial institutions and corporations to create and sustain competitive advantage. Education Qualification : Masters/Ph.D. in (Mathematics, Statistics, Financial Engineering, Economics, Actuarial, MBA or Quantitative discipline). CQF/FRM/CFA would be a plus. Job Description : Solytics is seeking a strong Counterparty Credit Risk professionals to be a member of Model Risk Management (MRM) team focussed on the developing, review, validation and risk assessment of xVA pricing models under various regulatory regimes e.g. Basel-3, Dodd-frank etc.. Candidate must have relevant experience in statistical modelling, simulations, quantitative research, stochastic calculus, and practical understanding on Standard and Advanced approaches for xVA capital charges. Responsibilities: - Conducting model development, independent reviews/validation of the models and methodologies for Counterparty Credit Risk, different valuation adjustments due to the risks related to counterparties default (xVA), PD and changes to existing models - Work with the internal team on some of the niche area in designing analytical framework, automation solutions for xVA risk and pricing models using advanced Statistical and Mathematical concepts/toolkits, and open source computer languages like Python, R, C++ - Write model risk management technical documents (validation report, development and monitoring report) that will be presented to client's stakeholders and respective regulators - Provide subject matter expertise and support business - Deliver high quality client services, including work products, within expected timeframe and budget - Develop and maintain effective relationships with clients and team members - Participate in large scale client engagements/projects, meetings, PoC's, RFP's etc. Key Skills: - Minimum 3 years of experience in xVA model development or validation - Experience in validating/developing/review of CVA, DVA, FVA, VaR, EAD, PD etc. - Experience in developing/validating methodology for quantitative analyses required under various applicable work streams e.g. Netting, Closeouts, Collateral and Funding mechanics, Capital calculations etc. - Deep understanding of various derivatives and exotic (Swaps/Swaption, Equities, IR/FX products etc.,) Pricing theories (Black Scholes, Stochastic calculus, Financial Mathematics, Ito's lemma, Statistics, Linear Algebra, Probability theory, Statistical distributions etc.) - Solid understanding of interest rate curve construction/IR calibration, volatility models - Hands-on experience on simulations, stability of model outcomes benchmarking, stress testing, scenario and sensitivity analysis. - Good knowledge of Numeric, Murex, Python/R, SQL etc.

Pune

Bangalore

Solytics Partners - Counterparty Risk Professional - xVA Models Quant 

Solytics Partners - Counterparty Risk Professional - xVA Models Quant  ,Job Description for Solytics Partners - Counterparty Risk Professional - xVA Models Quant  in Solytics Partners in  Pune Bangalore for (3-9) years of experience. Apply Now!

Job Description for Solytics Partners - Counterparty Risk Professional - xVA Models Quant  in Solytics Partners in  Pune Bangalore for (3-9) years of experience. Apply Now!